A financial market with singular drift and no arbitrage

DOI10.1007/s11579-020-00284-9zbMath1465.91104arXiv1909.12578OpenAlexW3106801142MaRDI QIDQ2037760

Nacira Agram, Bernt Øksendal

Publication date: 8 July 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.12578

zbMATH Keywords

Donsker delta functionwhite noise calculusarbitrageoptimal portfoliodelayed informationjump diffusionfinancial market with local time drift term

Mathematics Subject Classification ID

White noise theory (60H40) Stochastic integrals (60H05) Portfolio theory (91G10) Financial markets (91G15)

Related Items (2)

Space-Time Stochastic Calculus and White Noise ⋮ Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

Cites Work

• Stochastic partial differential equations. A modeling, white noise functional approach
• Correction to: ``Stochastic control of memory mean-field processes
• The Donsker delta function of a Lévy process with application to chaos expansion of local time
• A Delayed Black and Scholes Formula
• Option pricing when underlying stock returns are discontinuous
• Using the Donsker delta function to compute hedging strategies
• White Noise Analysis: An Introduction
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